Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0041
Annualized Std Dev 0.2181
Annualized Sharpe (Rf=0%) -0.0187

Row

Daily Return Statistics

Close
Observations 4168.0000
NAs 1.0000
Minimum -0.1645
Quartile 1 -0.0048
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0056
Maximum 0.1969
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0137
Skewness 0.3033
Kurtosis 31.3046

Downside Risk

Close
Semi Deviation 0.0099
Gain Deviation 0.0105
Loss Deviation 0.0116
Downside Deviation (MAR=210%) 0.0144
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.6757
Historical VaR (95%) -0.0188
Historical ES (95%) -0.0336
Modified VaR (95%) -0.0126
Modified ES (95%) -0.0126
From Trough To Depth Length To Trough Recovery
2005-03-02 2009-03-09 NA -0.6757 4042 1012 NA
2004-10-05 2004-10-28 2004-12-16 -0.0469 52 18 34
2004-12-17 2004-12-21 2005-01-31 -0.0382 30 3 27
2005-02-22 2005-02-22 2005-02-28 -0.0238 5 1 4
2005-02-02 2005-02-03 2005-02-10 -0.0128 7 2 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA 0 -0.2 1.2 -0.6 1.3 1.7
2005 0.4 0.3 -0.9 0.5 -1.7 0.2 0.3 -1.5 1.1 -1.2 1.5 1.1 -0.1
2006 -0.4 0.4 0.1 -0.2 1.8 0.6 0.2 0.4 -0.6 -0.1 0.5 0.1 2.8
2007 0.7 0 0.4 -0.7 0.3 -0.7 -0.5 1.1 0.5 -1.9 0.4 0.7 0.3
2008 1.3 -2 3.6 1.3 0.3 -0.5 -0.2 -0.1 1.4 2.1 -9.1 2.4 -0.1
2009 -3.7 -2.3 2.8 1.3 2 1.2 -0.4 -1.2 -1.6 -2.6 2.8 1.5 -0.4
2010 2.9 0.7 0.2 -0.4 -1 -2.5 0.5 0.4 1.3 -1 1.5 0.7 3.2
2011 1.1 -1 1 0.1 -1.7 1.3 0.2 -1.2 -2.7 -2.9 -0.2 0.3 -5.7
2012 1 -0.1 0.2 0.7 -2.3 2.1 0.7 0.6 -0.1 1.7 -0.2 2.1 6.4
2013 0.8 0.2 -0.2 -0.6 -1.5 1 0.8 -0.1 1.5 0.2 -0.1 -0.3 1.8
2014 -0.5 0.3 1 0.1 0.4 0.6 -1.1 0.4 -0.4 0.6 -0.7 -1 -0.5
2015 -0.5 0 -0.6 0.7 0.1 0.8 0.8 -2.6 2 -0.2 0.7 -0.4 0.8
2016 0.7 1.5 0.4 -0.4 0.3 -0.8 0.2 -0.7 0.1 -0.6 -0.4 -0.1 0
2017 0 2.1 0.8 0.5 0.6 0.1 0 0.4 0.3 0.2 0 0.1 5.1
2018 0.3 -1.7 1.6 -0.3 0.6 -0.1 0.1 -0.2 0.1 2.4 1 -0.5 3.3
2019 -0.4 0.7 1 0.1 -1.2 -0.5 -0.9 0.4 -1.1 0.5 -0.7 0.5 -1.7
2020 -1 -5.1 -5.5 -2.8 1.2 0.3 0.2 0.4 0.5 -1.2 1.5 0.3 -10.8
2021 1.5 1.8 -0.1 NA NA NA NA NA NA NA NA NA 3.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-08-27  20   SPY    111.  0.0032   0.0088   0.008   -0.0126   0.113   -0.0377   -0.183 <NA>     NA    NA       NA
2 2004-08-30  20   SPY    111. -0.0083   0.003   -0.0028  -0.0206   0.097   -0.0555   -0.193 <NA>     NA    NA       NA
3 2004-08-31  20   SPY    111.  0.0052   0.0069   0.0004  -0.0142   0.0953  -0.0471   -0.197 <NA>     NA    NA       NA
4 2004-09-01  20   SPY    111.  0.0019   0.002    0.0101  -0.016    0.0829  -0.0647   -0.186 <NA>     NA    NA       NA
5 2004-09-02  20   SPY    113.  0.0113   0.0133   0.0216   0.0044   0.0892  -0.0484   -0.166 <NA>     NA    NA       NA
6 2004-09-03  20.0 SPY    112. -0.0041   0.006    0.0343  -0.0076   0.0842  -0.0383   -0.154 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart